/usr/share/dynare/matlab/qr2.m is in dynare-common 4.4.1-1build1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 | function [Q,R] = qr2(varargin)
% This routine performs a qr decomposition of matrix X such that the
% diagonal scalars of the upper-triangular matrix R are positive. If X
% is a full (column) rank matrix, then R is also the cholesky
% factorization of X'X. This property is needed for the Del Negro
% & Schorfheides's identification scheme.
%
% INPUTS
% See matlab's documentation for QR decomposition.
%
% OUTPUTS
% See matlab's documentation for QR decomposition.
%
% ALGORITHM
% None.
%
% SPECIAL REQUIREMENTS
% None.
% Copyright (C) 2006-2012 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
[Q,R] = qr(varargin{:});
indx = find(diag(R)<0);
if ~isempty(indx)
Q(:,indx) = -Q(:,indx);
R(indx,:) = -R(indx,:);
end
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